Identifying multiple outliers in heavy-tailed distributions with an application to market crashes
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Cited by:
- Christian Schluter & Mark Trede, 2019.
"Size distributions reconsidered,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 695-710, July.
- Christian Schluter & Mark Trede, 2019. "Size distributions reconsidered," Post-Print hal-01994353, HAL.
- Olmo, J., 2009. "Extreme Value Theory Filtering Techniques for Outlier Detection," Working Papers 09/09, Department of Economics, City University London.
- Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
- Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
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